This paper analyses the pension system in Turkey using Computable General Equilibrium (CGE) and Overlapping Generations Models (OLG). The objective of the paper is to evaluate the effects of current pension policies on the macroeconomic aggregates when a segmented and asymmetric labor market is...

This paper studies the welfare implications of a PAYG pension system in a neoclassical growth model with overlapping generations, demographic uncertainty and sequentially incomplete markets. In absence of public pensions, small cohorts tend to be favored by the changes in relative prices implied...

The mixture of two already known soft computing technics, like Genetic Algorithms and Neural Networks (NN) in Financial modeling, takes a new approach in the search for the best variables involving an Econometric model using a Neural Network. This new approach helps to recognice the importance...

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...

This paper investigates the precision of multivariate models of the output gap and considers their implications for the formulation of macroeconomic policy. Multivariate models identify the gap by including information from structural economic relationships, such as Okun's Law, the Phillips...

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

Using GP with lambda abstraction module mechanism to generate technical trading rules based on S&P 500 index, we find strong evidence of excess returns over buy-and-hold after transaction cost on the testing period from 1989 to 2002. The rules can be interpreted easily; each uses a combination...

In this paper, using recent empirical results regarding the statistical properties of macroeconomic data revisions, we study the effects of data revisions in a general equilibrium framework. We find that the presence of data revisions, or data uncertainty, creates a precautionary motive and...

The bond-equity yield ratio is defined as the ratio of the coupon yield on long government bonds to the dividend yield on equity. Commonly named in the UK as the gilt-equity yield ratio (GEYR), it has been argued to capture the relative value of bonds and equities through the differential in...